The first four movies before The Avengers were all about someone having the ability to be a hero, but not the qualities until he had to step up to the challenge: Iron Man was about the egotistic genius billionaire Tony Stark seeing first hand what his weapons were doing to innocents and being unable to use the normal means to stop it, so he had to use the Iron Man armor to stop the terrorists (and Stane) and destroy the weapons himself; The Incredible Hulk was about Banner trying to cure himself of being the Hulk until the Abomination entered the frame, at which point he renounced any future attempt to find a cure (and gain a measure of control over his transformations) so he'd be able to stop him and any other possible gamma monster; Iron Man 2 was about a dying Tony choosing Pepper and Rhodey as his successors as CEO of Stark Industries and Iron Man and getting them to step up to the challenge; Thor is about Thor overcoming his selfish & haughty nature and learning humility. Then we have Captain America: The First Avenger, which is about the opposite: Steve wants to make a difference and stop the Nazis, but first lacks the powers (being a skinny runt before becoming the Super Soldier) and then the occasion, and has to take them, becoming a hero in the process.
In a similar way, one could argue the movies of Phase 2 were about losing something as part of being a hero (Iron Man was afflicted with PTSD and destroyed his armors, Thor's mother (and quite possibly dad) died and he abdicated the throne, Cap lost any trust in S.H.I.E.L.D and lost S.H.I.E.L.D itself.) Presumably, Age of Ultron will destroy the Avengers as a team, leading to a Phase 3 where the age of heroes is torn down (as it starts with a Civil War and ends with an Infinity War with a well known Hero Killer).
A Funny Thing Happened on the Way to Thor's Hammer:
Some might wonder why Coulson simply didn't shoot the robbers. Well, police are a lot more interested when a couple of punks end up with bullet holes than they are when some mystery man simply beats them up.
And the little "tae bo" story means they won't bother searching for him, just think the clerk did it. He may have also not shot because he worried the bullet might go through them and hit the clerk.
Coulson is also one of the good guys from a series of superhero movies. Those types generally avoid lethal force if it's not necessary, and it was obviously not necessary in that short.
Coulson also knew that he (and the clerk) weren't in any real danger; he probably thought up using the flour bag as soon as he mentions moving to the other aisle. Those punks never stood a chance.
It's often asked how come other superheroes don't join in and help people when they're having issues, like why didn't Hulk actually help out Tony Stark in 'Iron Man 3' beyond just a cameo after the credits? Or why didn't Iron Man show up during 'Captain America: Winter Soldier'? The obvious reason is it would be too easy, but an in-universe answer has been there the entire time, in the events of 'Winter Soldier': the collapse of S.H.I.E.L.D.. This event was so massive and so revealing, if Captain America tried to call Iron Man for help, it'd be abundantly clear where he was and how HYDRA agents could find him.
But what about 'Iron Man 3'? Tony had just put Pepper in extreme danger halfway through the film, he probably thought if he tried to contact any of the Avengers, the same would happen to them. Tony Stark comes off as a person who doesn't want to take responsibility, but at times he's a person who takes responsibility for everything. Just look at his actions in 'Age Of Ultron', he felt it was his duty alone to protect the world. Tony thinks he's the most important person in every room, his ego is massive... and as a result he feels like he's got to take care of everyone, that he's like a dad to a planet of children. He's burdened by his intelligence and makes mistakes by constantly trying to help people, believing they acn't help themselves.
Secretary Ross' line in Captain America: Civil War to the members of the Avengers about two lost nuclear warheads (referring to the absent Hulk and Thor) might actually double as a reference to a nuclear warhead recently being stolen in the concurrent third season of Agents of S.H.I.E.L.D. (in this case, for use in Hive's master plan) — unless, of course, the two plot points are just a total coincidence.
Actually, that could be an allusion to the fact that the government isn't the best option for keeping an eye on superhumans, because the US government has lost nuclear weapons before. The scary part is that we're not even entirely sure how many have gone missing, it can be be anywhere from 6 to a dozen (mostly during the Cold War). (Oh, and before you think that's bad, the USSR was way worse, and since the fall of the USSR only made their terrible record-keeping even more sketchy, it's even more uncertain how many nuclear weapons they've lost. The smart money's on around 33, but some of the more liberal answers claim it to be as high as 100)
In the early films, it seems only natural that the Asgardians are worshipped as gods by humanity, even if they're reimagined as Sufficiently Advanced Aliens. After all, they were gods in the comics, and the writers couldn't just ignore the fact that they're named after characters from Norse mythology. But in The Avengers (2012) and onward, it becomes clear that there are plenty of other advanced alien species in the Galaxy, but the Asgardians are the only ones that humans seem to have met before the Chitauri Invasion. Why's that? Because the Asgardians had the Space Stone (a.k.a. the Tesseract) in their possession for centuries, which allowed them to create wormholes and travel across vast interstellar distances with ease. Even though they gave it up, they probably managed to build gateways like the Bifrost because they had a chance to study the Space Stone and figure out its secrets. It makes perfect sense, then, that they can interact with "lesser" species far easier than other alien races can, and they treat their meetings with humans as casual encounters.